Journal of Econometrics

1973 - 2009

Edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao, P. M. Robinson and A. Zellner

from Elsevier
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Volume 146, issue 2, 2008

Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson pp. 199-201

Timothy Cogley, Steven N. Durlauf and James Nason

The Beveridge-Nelson decomposition in retrospect and prospect pp. 202-206

Charles R. Nelson

The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics pp. 207-219

Kum Hwa Oh, Eric Zivot and Drew D. Creal

Trend/cycle decomposition of regime-switching processes pp. 220-226

James Morley and Jeremy Piger

Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? pp. 227-240

Kim, Chang-Jin

Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments pp. 241-254

Donald W. K. Andrews, Marcelo J. Moreira and James H. Stock

Methods for inference in large multiple-equation Markov-switching models pp. 255-274

Christopher Sims, Daniel F. Waggoner and Tao Zha

Time series properties of ARCH processes with persistent covariates pp. 275-292

Heejoon Han and Joon Y. Park

Efficient forecast tests for conditional policy forecasts pp. 293-303

Jon Faust and Jonathan Wright

Forecasting economic time series using targeted predictors pp. 304-317

Jushan Bai and Serena Ng

Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components? pp. 318-328

Christine De Mol, Domenico Giannone and Lucrezia Reichlin

Bayesian Model Averaging and exchange rate forecasts pp. 329-341

Jonathan Wright

Least-squares forecast averaging pp. 342-350

Bruce E. Hansen

Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach pp. 351-363

Francis Diebold, Canlin Li and Vivian Z. Yue

Quality control for structural credit risk models pp. 364-375

Elena Andreou and Eric Ghysels

Volume 146, issue 1, 2008

Explaining individual response using aggregated data pp. 1-9

Bram van Dijk and Richard Paap

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks pp. 10-25

Enrique Sentana, Giorgio Calzolari and Gabriele Fiorentini

Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach pp. 26-43

Emanuel Moench

A Gaussian approximation scheme for computation of option prices in stochastic volatility models pp. 44-58

Cheng, Ai-ru (Meg), A. Ronald Gallant, Chuanshu Ji and Beom S. Lee

The limit distribution of the estimates in cointegrated regression models with multiple structural changes pp. 59-73

Mohitosh Kejriwal and Pierre Perron

Partial identification and testable restrictions in multi-unit auctions pp. 74-85

David McAdams

Exact computation of max weighted score estimators pp. 86-91

Kostas Florios and Spyros P. Skouras

Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models pp. 92-106

Hiroyuki Kasahara and Katsumi Shimotsu

Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities pp. 107-117

Adam Michael Rosen

Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large pp. 118-134

Jihai Yu, Robert de Jong and Lung-Fei Lee

A joint serial correlation test for linear panel data models pp. 135-145

Takashi Yamagata

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root pp. 146-161

Nikolay Gospodinov

The wild bootstrap, tamed at last pp. 162-169

Russell Davidson and Emmanuel Flachaire

Testing for structural change in regression quantiles pp. 170-184

Zhongjun Qu

Local likelihood estimation of truncated regression and its partial derivatives: Theory and application pp. 185-198

Byeong U. Park, Leopold Simar and Valentin Zelenyuk

Volume 145, issue 1-2, 2008

Special issue editors' introduction: The use of econometrics in informing public policy makers pp. 1-3

Robin C. Sickles and Jennifer Williams

A model of Social Security Disability Insurance using matched SIPP/Administrative data pp. 4-20

Kajal Lahiri, Jae Song and Bernard Wixon

Social security and the retirement and savings behavior of low-income households pp. 21-42

Wilbert H van der Klaauw and Kenneth . Wolpin

Household search and health insurance coverage pp. 43-63

Matthew Dey and Christopher Flinn

Heterogeneous impacts in PROGRESA pp. 64-80

Habiba Djebbari and Jeffrey Andrew Smith

State dependence in youth labor market experiences, and the evaluation of policy interventions pp. 81-97

Denise Jeanne Doiron and Tue Gorgens

Evaluating the effectiveness of Washington state repeated job search services on the employment rate of prime-age female welfare recipients pp. 98-108

Cheng Hsiao, Yan Shen, Boqing Wang and Greg Weeks

The long-run cost of job loss as measured by consumption changes pp. 109-120

Martin Browning and Thomas Crossley

Panel data methods for fractional response variables with an application to test pass rates pp. 121-133

Leslie E. Papke and Jeffrey M. Wooldridge

Efficiency in public schools: Does competition matter? pp. 134-157

Daniel L. Millimet and Trevor Collier

Turning from crime: A dynamic perspective pp. 158-173

Robin C. Sickles and Jenny Williams

On the estimation of returns to scale, technical progress and monopolistic markups pp. 174-193

Walter Erwin Diewert and Kevin J. Fox

Estimating regional trade agreement effects on FDI in an interdependent world pp. 194-208

Badi Baltagi, Peter H. Egger and Michael Pfaffermayr

Non-parametric, unconditional quantile estimation for efficiency analysis with an application to Federal Reserve check processing operations pp. 209-225

David Wheelock and Paul W. Wilson

Relative prices and electronic substitution: Changes in household-level demand for postal delivery services from 1986 to 2004 pp. 226-242

Seung-Hyun Hong and Frank A. Wolak

Is econometrics useful for private policy making? A case study of replacement policy at an auto rental company pp. 243-257

Sungjin Cho and John Rust

Volume 144, issue 2, 2008

Evolution of forecast disagreement in a Bayesian learning model pp. 325-340

Kajal Lahiri and Xuguang Sheng

Patient enrollment in medical trials: Selection bias in a randomized experiment pp. 341-351

Anup Malani

Testing for jumps when asset prices are observed with noise-a "swap variance" approach pp. 352-370

George J. Jiang and Roel C.A. Oomen

Difference in difference meets generalized least squares: Higher order properties of hypotheses tests pp. 371-391

Jerry Hausman and Guido M. Kuersteiner

Estimation of partial differential equations with applications in finance pp. 392-408

Dennis Kristensen

Valid tests of whether technical inefficiency depends on firm characteristics pp. 409-427

Myungsup Kim and Peter Schmidt

Restricted Kalman filtering revisited pp. 428-429

Adrian Pizzinga, Cristiano Fernandes and Sergio Contreras

Inference in panel data models under attrition caused by unobservables pp. 430-446

Debopam Bhattacharya

Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model pp. 447-464

Hugo Kruiniger

Analysis of treatment response data from eligibility designs pp. 465-478

Siddhartha Chib and Liana Jacobi

The effect of college curriculum on earnings: An affinity identifier for non-ignorable non-response bias pp. 479-491

Daniel Hamermesh and Stephen G. Donald

Semiparametric estimation of a binary response model with a change-point due to a covariate threshold pp. 492-499

Sokbae (Simon) Lee and Myung Hwan Seo

Bootstrap refinements for QML estimators of the GARCH(1,1) parameters pp. 500-510

Valentina Corradi and Emma M. Iglesias

Nearly-singular design in GMM and generalized empirical likelihood estimators pp. 511-523

Mehmet Caner

Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18] pp. 524-525

Marcus J. Chambers

Volume 144, issue 1, 2008

An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions pp. 1-26

Yacine Ait-Sahalia and Per A. Mykland

Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution pp. 27-61

Yingyao Hu

Likelihood approximation by numerical integration on sparse grids pp. 62-80

Florian Heiss and Viktor Winschel

Partial identification of probability distributions with misclassified data pp. 81-117

Francesca Molinari

Weak identification robust tests in an instrumental quantile model pp. 118-138

Sung Jae Jun

A non-parametric independence test using permutation entropy pp. 139-155

Matilla-Garci­a, Mariano and Ruiz Mari­n, Manuel

Learning and the value of information: Evidence from health plan report cards pp. 156-174

Michael Chernew, Gautam Gowrisankaran and Dennis P. Scanlon

Mixtures of t-distributions for finance and forecasting pp. 175-192

Raffaella Giacomini, Andreas Gottschling, Christian Haefke and Halbert White

Local polynomial estimation of nonparametric simultaneous equations models pp. 193-218

Liangjun Su and Aman Ullah

More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares pp. 219-233

Kyung So Im and Peter Schmidt

Risk, jumps, and diversification pp. 234-256

Tim Bollerslev, Tzuo Hann Law and George Tauchen

Nonparametric estimation and testing of fixed effects panel data models pp. 257-275

Daniel J. Henderson, Raymond J. Carroll and Qi Li

A semi-parametric Bayesian approach to the instrumental variable problem pp. 276-305

Timothy G. Conley, Christian B. Hansen, Robert E. McCulloch and Peter E. Rossi

Chain indices of the cost-of-living and the path-dependence problem: An empirical solution pp. 306-324

Nicholas Oulton